Weighted sampling without replacement
Abstract
Comparing concentration properties of uniform sampling with and without replacement has a long history which can be traced back to the pioneer work of Hoeffding (1963). The goal of this short note is to extend this comparison to the case of non-uniform weights, using a coupling between the two samples. When the items' weights are arranged in the same order as their values, we show that the induced coupling for the cumulative values is a submartingale coupling. As a consequence, the powerful Chernoff-type upper-tail estimates known for sampling with replacement automatically transfer to the case of sampling without replacement. For general weights, we use the same coupling to establish a sub-Gaussian concentration inequality. We also construct another martingale coupling which allows us to answer a question raised by Luh and Pippenger (2014) on sampling in Polya urns with different replacement numbers.
Cite
@article{arxiv.1603.06556,
title = {Weighted sampling without replacement},
author = {Anna Ben-Hamou and Yuval Peres and Justin Salez},
journal= {arXiv preprint arXiv:1603.06556},
year = {2016}
}